Limits‐to‐arbitrage, investment frictions, and the investment effect: New evidence
重新检验了投资效应的行为与理性解释，发现套利限制比投资摩擦获得更多证据支持，对理解市场异象和资产定价有参考价值。
Abstract This study comprehensively reexamines the debate over behavioral and rational explanations for the investment effect in an updated sample. We closely follow the previous literature and provide several differences. Our tests include five prominent measures of corporate investment and corporate profitability in q ‐theory and recent investment‐based asset pricing models. Both classical and Bayesian inferences show that limits‐to‐arbitrage tend to be supported by more evidence than investment frictions for all investment measures. When idiosyncratic volatility and cash flow volatility are used in measuring investment frictions, the inference is more favorable for the rational explanation.